The high reversibility of the martensitic transformation occurring in shape-memory alloys (SMAs) is at the origin of the mechanical performance of these materials. Infrared thermography is employed in this study to measure the mechanical dissipation produced by Cu-Zn-Al SMA specimens during stress-induced phase transformation. In practice, temperature change is first measured on the surface of a specimen subjected to cyclic mechanical loading at constant ambient temperature. The heat produced by the material can then be deduced from the temperature change by using the heat diffusion equation. The heat associated to mechanical irreversibility is expected to be very low compared to the other heat quantities produced by the material (such as the latent heat due to phase change and the heat due to thermoelastic coupling), so measuring this quantity requires special attention, as emphasized in this paper. The procedure which enables us to extract the mechanical dissipation from the measured heat source is first presented. The technique is then applied to two types of specimens: martensitic and austenitic. Different values of mechanical dissipation were measured, thus revealing different levels of mechanical irreversibility.